Department of Mathematics

Brownian Motion and Stochastic Calculus

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Lecturer Prof. Dr. Josef Teichmann
Lectures Tuesday, 10:15 - 11:55, HG E 1.1,
Wednesday, 08:15 - 10:00, HG E 1.1
Coordinator Ren Liu
Exercises Friday, 08:15-09:00

Friday, 11:10-11:55

Friday, 12:15-13:00

First lecture:
Tuesday, February 17.
First tutorial:
Friday, February 20.

Course attendence confirmation (Testat) requirements:

Click here for information on the exercises.

Question times ("Präsenz"):
Mondays and Thursdays, 12:00 – 13:00, in HG G 32.6.
Question times during vacation ("Ferienpräsenz"):
see Ferienpräsenz

Course content

This is a first course on continuous-time stochastic processes. It covers basic notions of stochastic calculus. The following topics will be discussed:
- Brownian motion: definition, construction, some important properties
- Markov processes: basics, strong Markov property, generators and martingale problems
- Stochastic calculus: semimartingales, stochastic integrals, Ito formula, Girsanov transformation, stochastic differential equations
- Levy processes: basic notions, some important properties

Lecture notes

One can buy the Lecture notes during Question times ("Präsenz") for 17 CHF. Additional notes about weak convergence can be found here.



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© 2016 Mathematics Department | Imprint | Disclaimer | 18 February 2015